VYM
Vanguard High Dividend Yield Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for VYM (Vanguard High Dividend Yield Index Fund ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -25.1% (compared to the benchmark's drawdown of -35.2%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 7.2%, compared to a Buy-and-Hold benchmark return of 12.7%. The strategy executed 15 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
VYM Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 22.20% | 22.20% | 3.27% | 12.27% | 5.60% | 11.59% | 7.22% | 12.72% |
| Sharpe Ratio | 1.97 | 1.97 | 0.28 | 0.84 | 0.47 | 0.67 | 0.61 | 0.70 |
| Max Drawdown | -6.69% | -6.69% | -25.15% | -15.84% | -25.15% | -35.21% | -25.15% | -35.21% |
| % Time Invested | 100.0% | 100.0% | 79.0% | 100.0% | 82.9% | 100.0% | 80.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.8 | 0.0 | 0.7 | 0.0 | 0.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-04-08 | 2025-07-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.99% | Interest Income | |
| 2023-12-19 | 2025-04-08 | Completed | 100% | $103.47 | $116.17 | 12.22% | Stop | |
| 2023-10-23 | 2023-12-19 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.86% | Interest Income | |
| 2023-08-02 | 2023-10-23 | Completed | 100% | $100.58 | $93.51 | -7.08% | Signal | |
| 2023-05-09 | 2023-08-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.22% | Interest Income | |
| 2022-12-13 | 2023-05-09 | Completed | 100% | $101.61 | $94.81 | -6.74% | Signal | |
| 2022-09-01 | 2022-12-13 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.07% | Interest Income | |
| 2022-08-16 | 2022-09-01 | Completed | 100% | $97.49 | $92.08 | -5.60% | Stop | |
| 2022-06-24 | 2022-08-16 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.33% | Interest Income | |
| 2020-09-15 | 2022-06-24 | Completed | 100% | $70.03 | $90.48 | 29.14% | Signal | |
| 2020-06-12 | 2020-09-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2020-06-09 | 2020-06-12 | Completed | 100% | $71.11 | $67.15 | -5.61% | Stop | |
| 2020-03-02 | 2020-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2019-02-07 | 2020-03-02 | Completed | 100% | $66.31 | $68.33 | 3.00% | Stop | |
| 2018-12-19 | 2019-02-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2016-03-31 | 2018-12-19 | Completed | 100% | $50.63 | $62.88 | 24.14% | Signal | |
| 2016-01-22 | 2016-03-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2015-12-10 | 2016-01-22 | Completed | 100% | $48.31 | $45.70 | -5.45% | Signal | |
| 2015-08-21 | 2015-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2011-12-14 | 2015-08-21 | Completed | 100% | $27.94 | $47.03 | 68.26% | Signal | |
| 2011-09-06 | 2011-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-09-01 | 2011-09-06 | Completed | 100% | $26.95 | $25.46 | -5.58% | Signal | |
| 2011-08-10 | 2011-09-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-09-28 | 2011-08-10 | Completed | 100% | $24.17 | $25.32 | 4.71% | Stop | |
| 2010-07-07 | 2010-09-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2010-06-01 | 2010-07-07 | Completed | 100% | $22.40 | $21.64 | -3.45% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-02 | 2010-05-07 | Completed | 100% | $18.70 | $23.34 | 24.78% | Stop | |
| 2009-03-23 | 2009-07-02 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2009-03-19 | 2009-03-23 | Completed | 100% | $16.56 | $16.28 | -1.74% | Stop | |
| 2008-11-10 | 2009-03-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |